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math.PR2020
A variational characterization of LangevinSmoluchowski diffusions
Ioannis Karatzas, Bertram Tschiderer
We show that LangevinSmoluchowski measure on path space is invariant under time-reversal, followed by stochastic control of the drift with a novel entropic-type criterion. Repea…
math.PR2020
A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions
Ioannis Karatzas, Walter Schachermayer, Bertram Tschiderer
We revisit the variational characterization of conservative diffusion as entropic gradient flow and provide for it a probabilistic interpretation based on stochastic calculus. It w…